EWP Options History — September 2016

In September 2016, EWP traded between $26.31 and $27.91. ATM implied volatility averaged 21.7%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.3% (HV 20d: 15.4%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2016-09-08: Highest Volume — 5,205 contracts
  • 2016-09-21: Largest IV spike — 66.5% change
  • 2016-09-21: Highest IV Rank — 54.2%
  • 2016-09-21: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.91$26.31$27.91$26.84$26.87
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV21.7%12.7%40.1%19.2%20.6%
Expected Move6.4%5.1%11.5%5.5%5.9%
HV 20d15.4%9.3%20.5%9.5%20.5%
HV 60d31.7%16.8%42.7%42.7%17.3%
IV Rank16.5%0.0%54.2%4.9%15.5%
IV Percentile26.5%0.0%97.6%2.4%13.5%
Term Structure1.9%-4.9%18.5%2.5%-0.1%
VWIV18.2%11.5%23.9%23.9%16.3%
Skew 25d4.5%-8.8%9.3%5.6%4.9%
Skew 10d11.5%2.1%32.9%13.7%3.0%
Call IV 25d18.8%14.4%29.1%17.5%16.5%
Put IV 25d23.3%18.4%28.7%23.1%21.5%
Bid-Ask Spread %105.2584.15137.96119.85107.39
Gamma HHI0.220.170.300.210.26
Net GEX190.5K-145.1K491.1K-145.1K287.0K
Net DEX779.6K-1.6M2.2M2.2M880.9K
Net VEX-20.4K-28.8K-14.8K-17.5K-16.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.141.611.610.28
Total Volume3,618.5719645,2059913,285
Total OI9,2426,32810,7746,3289,839

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$26.84$26.0019.2%5.5%9.5%4.9%23.9%5.6%2.5%-145.1K2.2M-17.5K1.61119.85N/AN/A3806111,1375,191
2016-09-02$27.11$26.0018.1%5.2%9.3%2.6%18.0%6.3%4.1%-94.1K1.9M-16.9K1.49105.11N/AN/A3875771,1375,191
2016-09-06$27.32$26.0018.2%6.3%9.5%2.7%22.9%5.1%0.5%-75.7K1.6M-16.6K1.6093.80N/AN/A3956321,1475,194
2016-09-07$27.52$26.0012.7%5.5%9.3%0.0%23.3%5.5%4.5%-85.9K1.3M-15.8K1.5998.70N/AN/A4036421,1255,246
2016-09-08$27.91$26.0014.4%5.5%9.8%3.3%18.4%6.1%3.7%-90.6K823.5K-14.8K0.1497.31N/AN/A4,5636421,1435,246
2016-09-09$27.46$26.0018.1%6.2%11.9%10.6%18.8%5.1%0.7%437.4K-1.6M-28.8K0.20101.64N/AN/A4,3288755,2475,509
2016-09-12$27.47$26.0024.1%6.5%11.9%22.5%20.5%0.9%0.3%456.6K-907.6K-27.1K0.1984.15N/AN/A4,3178335,2605,514
2016-09-13$26.71$26.0025.5%6.9%15.9%25.2%21.6%7.6%1.4%291.9K289.8K-26.7K0.1989.02N/AN/A4,3178335,2635,465
2016-09-14$26.65$26.0027.1%7.8%15.8%28.4%22.3%4.1%-1.4%293.6K437.9K-26.0K0.19104.02N/AN/A4,3138335,2635,465
2016-09-15$26.78$26.0021.3%6.1%15.7%16.9%17.4%4.6%2.6%262.9K570.0K-22.8K0.1999.93N/AN/A4,3138335,2625,427
2016-09-16$26.31$26.0023.3%6.7%17.1%21.0%19.3%3.1%1.9%145.6K1.5M-22.6K0.19101.63N/AN/A4,3138335,2625,427
2016-09-19$26.40$26.0023.9%6.8%16.6%22.0%14.3%8.3%18.5%190.3K1.3M-22.1K0.14111.16N/AN/A4,3095905,2004,448
2016-09-20$26.37$26.0024.1%6.9%16.6%22.5%13.7%9.3%0.2%216.8K963.1K-21.6K0.1498.39N/AN/A4,3095905,2004,448
2016-09-21$26.94$26.0040.1%11.5%18.1%54.2%20.5%-8.8%-4.9%243.3K542.2K-19.6K0.31137.96N/AN/A2,5668015,2074,448
2016-09-22$27.22$26.0017.7%5.1%18.3%9.9%11.5%5.0%4.7%491.1K-512.0K-21.6K0.24117.08N/AN/A2,5606175,2074,665
2016-09-23$26.90$26.0020.3%5.8%18.9%15.1%13.5%2.7%1.2%308.0K427.1K-20.2K0.24108.42N/AN/A2,5606175,2094,665
2016-09-26$26.61$26.0021.7%6.2%19.4%17.7%15.4%3.2%0.8%234.9K1.1M-19.4K0.24109.80N/AN/A2,5606175,2094,665
2016-09-27$26.57$26.0018.7%5.4%19.4%11.9%16.5%7.5%-0.9%168.0K1.4M-16.4K0.27111.48N/AN/A2,5607025,2094,665
2016-09-28$26.79$26.0020.3%5.8%19.5%14.9%16.2%7.6%0.3%279.1K997.6K-16.5K0.28103.12N/AN/A2,5757105,2094,633
2016-09-29$26.43$26.0025.5%7.3%20.1%25.3%17.2%1.0%-1.7%185.8K1.3M-18.5K0.28110.30N/AN/A2,5757145,1944,641
2016-09-30$26.87$26.0020.6%5.9%20.5%15.5%16.3%4.9%-0.1%287.0K880.9K-16.0K0.28107.39N/AN/A2,5757105,1944,645